Study: Buy KAJARIACER when above 200 SMA and near 50 SMA and above 50 SMA

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In this study, we evaluate the performance of strategy "Buy KAJARIACER when above 200 SMA and near 50 SMA and above 50 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy KAJARIACER at the closing price whenever the signal triggers (Rs. 2Lac per trade). Then cover the position "X" trading days later at close_price i.e. sell after "X" trading days. Here are the results of this study:

X DaysNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
138107.1655302554.553460.1615037.59-2627.91-12151.071.321.580.034692.86
2-91599.155282750.916543.8329665.07-10178.76-1610690.640.67-0.015-1665.44
3-58644.0555292652.737628.9237666.33-10764.72-1620020.710.79-0.0094-1066.26
4-34190.7355262947.2710149.0856704.2-10278.17-1612380.990.89-0.0052-621.65
5-35526.5455272849.0910422.4677379.73-11319.03-1614930.920.89-0.0052-645.94
6-12163.9255282750.9111445.5899692.94-12320-1614930.930.96-0.0017-221.16
731582.6655312456.3612448.87123849-14763.85-1611960.841.090.0041574.23
866586.2555312456.3613932.63149846-15221.89-1609410.921.180.00791210.66
910584455302554.5516747.58169498-15863.34-1603481.061.270.0121924.44
1083728.7655312456.3616515.6152303-17843.95-1613230.931.20.00941522.34

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.58. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 54.55%, which is not acceptable. Avoid this strategy. Average return per trade is 0.35%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.034, which is low, don't trade solely on the basis of this study.

Strategy Analysis - Exit Criteria

In the study above, exit criterion was that hold the position for "X" trading days. That's one possible exit criterion. However, we can have more elaborate exit criteria. Now we study this strategy under other exit criteria. There are 3 things which you must get to know before proceeding further. Table below shows the performance of this strategy under various exit combinations. Note that nil,nil,-1 is a special exit combination where we just take the best result of "X" Analysis study above.

Stop LossAdjust Stop LossTargetAvg Holding PeriodNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
atrtrail-17.1633529770274338.5722493.2162366-6326.03-16983.643.562.230.0354789.96
50trail-13.419816187236426.4416354.96167345-2781.3-3936.345.882.110.0252277.71
atrnil26.1923296263273642.8619695.8538780.57-8300.72-16983.642.371.780.0523697.81
atrtrail24.841575857028424015278.538780.57-6433.64-16983.642.371.580.0372251.21
nilnil-1138107.1655302554.553460.1615037.59-2627.91-12151.071.321.580.034692.86
atrnil310.218767759184130.5130010.3552518.82-8597.78-19390.283.491.530.0353180.97
atrtrail36.1682449.3770274338.5713128.4740634.06-6326.03-16983.642.081.30.0211177.85
50trail31.7946496.1389276230.348182.311931.41-2813.32-3936.342.911.270.02522.43
50nil31.8126505.0984236127.389207.7811724.51-3037.28-3936.343.031.140.012315.54
50trail21.56-8252.9490296132.225617.497954.27-2805.91-3936.3420.95-0.0046-91.7
50nil21.62-14783.4787276031.036193.57954.27-3033.47-3936.342.040.92-0.0081-169.92

In the table above, row 1 shows the best exit criterion. Profit factor is 2.23. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 38.57%, which is not acceptable. Avoid this strategy. Average return per trade is 2.39%, which is very good. Sharpe Ratio is 0.035, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
KAJARIACER Performance, Profit Factor:2.23

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019611 Feb 2019 (-1.0%), 22 Feb 2019 (11.13%), 15 May 2019 (1.47%), 24 May 2019 (3.96%), 07 Jun 2019 (-1.05%), 13 Jun 2019 (-2.64%)
2018202 Jan 2018 (3.2%), 17 Jan 2018 (-2.41%)
2017623 Oct 2017 (-2.76%), 10 Nov 2017 (-3.29%), 17 Nov 2017 (0.44%), 04 Dec 2017 (-2.78%), 19 Dec 2017 (-0.23%), 28 Dec 2017 (0.14%)
2016228 Jan 2016 (-0.94%), 09 Mar 2016 (10.57%)
2015706 Jan 2015 (20.74%), 07 Apr 2015 (-3.64%), 04 May 2015 (-1.75%), 11 May 2015 (6.26%), 16 Jul 2015 (-2.35%), 21 Jul 2015 (-2.62%), 05 Aug 2015 (-1.93%)
2014726 Feb 2014 (-3.33%), 11 Mar 2014 (81.18%), 08 Jul 2014 (-1.79%), 23 Sep 2014 (-3.56%), 30 Sep 2014 (-3.82%), 14 Oct 2014 (-3.84%), 31 Dec 2014 (-2.86%)
2013403 Jan 2013 (-4.59%), 03 Jul 2013 (-2.51%), 20 Sep 2013 (2.89%), 18 Oct 2013 (3.32%)
2012403 Sep 2012 (-3.52%), 14 Sep 2012 (-1.68%), 20 Dec 2012 (-4.06%), 24 Dec 2012 (-2.89%)
2011419 Jan 2011 (-3.41%), 19 Aug 2011 (-2.74%), 26 Aug 2011 (9.68%), 03 Oct 2011 (3.64%)
2010428 Jan 2010 (1.25%), 05 Feb 2010 (10.08%), 21 Jun 2010 (-4.4%), 16 Nov 2010 (0.31%)
2009317 Jun 2009 (-2.56%), 06 Oct 2009 (3.3%), 10 Nov 2009 (6.39%)
2008318 Jun 2008 (-6.24%), 14 Jul 2008 (8.48%), 18 Sep 2008 (-1.47%)
2007117 Jan 2007 (-4.91%)
2006208 Dec 2006 (-3.93%), 21 Dec 2006 (-0.9%)
2005117 Oct 2005 (-4.51%)
2004322 Jan 2004 (5.52%), 07 Apr 2004 (9.72%), 19 May 2004 (-6.03%)
2003108 Sep 2003 (-5.34%)
2001202 Jan 2001 (-0.24%), 08 Jan 2001 (-6.75%)
2000118 Feb 2000 (-8.49%)
1999324 Sep 1999 (1.65%), 22 Nov 1999 (12.86%), 10 Dec 1999 (75.66%)
1997226 Feb 1997 (4.83%), 13 Mar 1997 (-4.1%)
1996213 May 1996 (4.98%), 19 Jun 1996 (-2.14%)



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